Markku Lanne

Economics and Econometrics · 2002–2019

A researcher in the Science corpus: 14 papers; trusts 32 researchers and is trusted by 55 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 82 citations into it; #1,805 of 23,481 by trust here, #2,676 by citations
• Finance — 45 citations into it; #1,179 of 10,518 by trust here, #2,555 by citations
• Statistics and Probability — 23 citations into it; #7,568 of 12,932 by trust here, #6,310 by citations
• Management Science and Operations Research — 11 citations into it; #9,586 of 11,946 by trust here, #10,392 by citations
• Time-Series & Forecasting — 9 citations into it
• Control and Systems Engineering — 8 citations into it

Whom Markku Lanne trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Helmut Ltkepohl
2. H. Luetkepohl
3. Lutz Kilian
4. Jeremy Berkowitz
5. R. Weide
6. G. Duffee
7. P. Giot
8. Christopher A. Sims
9. Giorgio E. Primiceri
10. James H. Stock

Who trusts Markku Lanne overall

1. Christian Gouriéroux
2. Muhammad Shahbaz
3. H. Luetkepohl
4. Helmut Lütkepohl
5. Theodore Panagiotidis
6. Mikkel Plagborg-Møller
7. Joann Jasiak
8. Joakim Westerlund
9. Christian M. Hafner
10. Christian Francq

Papers from Markku Lanne's perspective

Ordered by how strongly the researchers Markku Lanne trusts endorse each paper. Same corpus, a different order for every researcher.

1. What are the Effects of Monetary Policy on Output? : Results from an Agnostic Identification Procedure
2. Generalized autoregressive conditional heteroskedasticity
3. Sign Restrictions in Structural Vector Autoregressions: A Critical Review
4. Identifying Monetary Policy Shocks Via Changes in Volatility (Social Science Research Network)
5. Macro shocks and real stock prices
6. Term premia and interest rate forecasts in affine models
7. Monetary policy shocks:: Testing identification conditions under time-varying conditional volatility
8. Forecasting Output and Inflation: The Role of Asset Prices
9. Asymptotic theory for multivariate GARCH processes
10. MACROECONOMICS AND REALITY

Their papers

• Testing the Predictability of Stock Returns (2002) — 133 citations
• Comparison of unit root tests for time series with level shifts (2002) — 360 citations
• Identifying Monetary Policy Shocks Via Changes in Volatility (2008) — 231 citations
• Structural Vector Autoregressions With Nonnormal Residuals (2010) — 176 citations
• Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (2014) — 195 citations
• Noncausal Autoregressions for Economic Time Series (2010) — 103 citations
• Structural Vector Autoregressions with Markov Switching (2010) — 229 citations
• NONCAUSAL VECTOR AUTOREGRESSION (2013) — 102 citations
• Optimal Forecasting of Noncausal Autoregressive Time Series (2012) — 64 citations
• Identification and estimation of non-Gaussian structural vector autoregressions (2015) — 208 citations
• GMM Estimation of Non-Gaussian Structural Vector Autoregression (2019) — 62 citations
• A Multivariate Generalized Orthogonal Factor GARCH Model (2007) — 121 citations
• Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (2003) — 146 citations
• Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (2003) — 70 citations